Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Yuanhua Feng, Chen Zhou
| Year of publication: |
April-June 2015
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| Authors: | Feng, Yuanhua ; Chen Zhou |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 2, p. 349-363
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| Subject: | Approximately best linear predictor | Realized volatility | Financial forecasting | Long memory | Nonparametric scale function | Semi-FI-Log-ACD | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Finanzmarkt | Financial market | Theorie | Theory | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2014.09.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474104